更新された2025年02月公式問題2016-FRR認定には2016-FRR問題集PDF [Q14-Q37]

更新された2025年02月公式問題2016-FRR認定には2016-FRR問題集PDF

2025年最新のに更新された最新2016-FRR問題集を掴み取れ！

GARP 2016-FRR 試験は、金融業界で働くリスクプロフェッショナルにとって必須の認定資格です。今日の急速に変化する金融業界において、金融リスク管理と規制に関する包括的な理解を提供します。

質問 # 14
Which one of the following four statements correctly identifies disadvantages of using the economic capital?

A. Since banks are putting their money at risk they have an incentive to increase economic capital.
B. Economic capital may do not take into consideration the regulatory requirements.
C. The economic capital models used by banks may be subject to significant model risk.
D. Economic capital estimates the level of expected losses.

正解：C

解説：
Economic capital models, while useful, have the following disadvantages:
* Model Risk: These models may not accurately capture the complexities of financial systems, leading to significant model risk.
* Estimation Errors: Potential errors in risk estimation can lead to either underestimation or overestimation of required capital.
* Regulatory Differences: These models may not align with regulatory capital requirements, causing discrepancies.
* Complexity: The complexity of these models makes them difficult to understand and manage.
ReferencesSource: How Finance Works

質問 # 15
According to Basel II what constitutes Tier 3 capital?

A. Subordinated debt issues that pay interest.
B. Debt capital that can only be used to support market risk in the trading book of the bank.
C. Preference shares that confer on issuers the right to defer payment of a fixed dividend.
D. Hybrid debt capital instruments that are similar to equity.

正解：B

解説：
Tier 3 capital under Basel II refers specifically to subordinated debt that is intended to cover market risk in the trading book. It is not as widely recognized or used as Tier 1 and Tier 2 capital and has more restrictive requirements. This capital can only be used to support market risk, not credit risk. Its purpose is to provide an additional layer of capital to absorb losses specifically arising from market risks.

質問 # 16
Over a long period of time DeltaBank has amassed a large equity option position. Which of the following risks should be considered in this transaction?
I. Counterparty risk on long OTC option positions
II. Counterparty risk on short OTC option positions
III. Counterparty risk on long exchange-traded option positions
IV. Counterparty risk on short exchange-traded option positions

A. II, III
B. I, II
C. II, III, IV
D. I

正解：B

解説：
DeltaBank should consider counterparty risk on both long and short OTC option positions. OTC options do not go through a centralized exchange, making them subject to counterparty risk. Exchange-traded options have significantly lower counterparty risk because the exchange acts as the counterparty to all trades.

質問 # 17
A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this purpose?

A. Duration of default
B. Effective duration
C. Modified duration
D. Macaulay duration

正解：C

解説：
Modified duration is a key metric used to measure the sensitivity of a portfolio of assets and liabilities to changes in interest rates. It adjusts Macaulay duration to account for changes in yield, providing a more accurate reflection of the price sensitivity of a bond or a portfolio of bonds to interest rate changes. It is particularly useful for managing interest rate risk in a portfolio.

質問 # 18
Bank Omega is using futures contracts on a well capitalized exchange to hedge its market risk exposure.
Which of the following could be reasons that expose the bank to liquidity risk?
I. The bank may not be able to unwind the futures contracts before expiration.
II. Prices may move such that a loss results on the hedge.
III. Since futures require margins which are settled every day, the bank could find itself scrambling for funds.
IV. Exchange margin requirements could change unexpectedly.

A. I, IV
B. I, III, IV
C. I, II, III, IV
D. III, IV

正解：B

解説：
When a bank uses futures contracts on a well-capitalized exchange to hedge its market risk exposure, it can still be exposed to liquidity risks due to several reasons:
I: The bank may not be able to unwind the futures contracts before expiration: This can happen if there is a lack of market participants willing to take the opposite position, making it difficult to close out the position.
II: Prices may move such that a loss results on the hedge: Although this is a risk related to the performance of the hedge, it is not directly related to liquidity risk but more to market risk.
III: Since futures require margins which are settled every day, the bank could find itself scrambling for funds:
Futures contracts require daily settlement of gains and losses (mark-to-market), which means the bank must have sufficient liquidity to cover margin calls, potentially causing liquidity strain if large movements in the futures prices occur.
IV: Exchange margin requirements could change unexpectedly: If the exchange increases margin requirements, the bank would need to post additional collateral, which could strain its liquidity if it does not have sufficient liquid assets readily available.
References: The verified details are aligned with the context given in "How Finance Works" regarding the liquidity risks associated with futures contracts.

質問 # 19
Which one of the following is a reason for a bank to keep a commercial loan in its portfolio until maturity?
I. Commercial loans usually have attractive risk-return profile.
II. Commercial loans are difficult to sell due to non standard features.
III. Commercial loans could be used to maintain good relations with important customers.
IV. The credit risk in commercial loans is low.

A. II and IV
B. I, II and III
C. IV only
D. III and IV

正解：B

質問 # 20
Which one of the following four formulas correctly identifies the expected loss for all credit instruments?

A. Expected Loss = Probability of Default x Loss Given Default - Exposure at Default
B. Expected Loss = Probability of Default x Loss Given Default x Exposure at Default
C. Expected Loss = Probability of Default x Loss Given Default + Exposure at Default
D. Expected Loss = Probability of Default x Loss Given Default / Exposure at Default

正解：B

解説：
* The expected loss (EL) on a credit instrument is calculated by multiplying the probability of default (PD), the loss given default (LGD), and the exposure at default (EAD). This formula captures the risk of default and the potential loss severity.
* Other options (B, C, D) incorrectly represent the relationship between these components.
References:
* How Finance Works: "Expected Loss = Probability of Default x Loss Given Default x Exposure at Default"

質問 # 21
In the United States, Which one of the following four options represents the largest component of securitized debt?

A. Credit card loans
B. Education loans
C. Real estate loans
D. Lines of credit

正解：C

解説：
In the United States, the largest component of securitized debt is represented by real estate loans.
Securitization involves pooling various types of debt instruments, including mortgages, auto loans, credit card debt, and others, and selling them as bonds to investors. The largest portion of this market is dominated by mortgage-backed securities (MBS), which are based on real estate loans. These securities were especially prominent leading up to the 2008 financial crisis and continue to represent a significant share of the securitization market.

質問 # 22
A risk analyst is considering how to reduce the bank's exposure to rising interest rates. Which of the following
strategies will help her achieve this objective?
I. Reducing the average repricing time of its loans
II. Increasing the average repricing time of its deposits
III. Entering into interest rate swaps
IV. Improving earnings capacity and increasing intermediated funds

A. IV
B. I, II, IV
C. I, II
D. III

正解：B

質問 # 23
An endowment asset manager with a focus on long/short equity strategies is evaluating the risks of an equity
portfolio. Which of the following risk types does the asset manager need to consider when evaluating her
diversified equity portfolio?
I. Company-specific projected earnings and earnings risk
II. Aggregate earnings expectations
III. Market liquidity
IV. Individual asset volatility

A. I, II, IV
B. I, IV
C. II, III
D. I

正解：C

質問 # 24
Floating rate bonds typically have ________ duration which means they have ________ sensitivity to interest rate changes.

A. long, high
B. short, high
C. short, small
D. long, small

正解：C

解説：
Floating rate bonds typically have a short duration because their interest payments reset periodically, aligning closely with current interest rates. This frequent resetting makes them less sensitive to changes in interest rates compared to fixed-rate bonds, which have a long duration and are more sensitive to interest rate fluctuations.

質問 # 25
Which of the following reports have been suggested by the FDIC that banks should produce in addition to the usual probabilistic analysis and stress tests in order to gauge liquidity issues?
I. Cash flow gaps
II. Funding availability
III. Critical assumptions used in credit projections

A. I, II
B. I, III
C. I
D. I, II, III

正解：A

解説：
The FDIC has suggested that banks produce certain reports in addition to the usual probabilistic analysis and stress tests to better gauge liquidity issues. These include:
I: Cash Flow Gaps: This report helps identify mismatches between incoming and outgoing cash flows, enabling the bank to address potential shortfalls proactively.
II: Funding Availability: This report assesses the bank's ability to access funding sources, both short-term and long-term, to meet its liquidity needs.
References: These recommendations are detailed in the "How Finance Works" document, which emphasizes the importance of these reports for managing liquidity risk.

質問 # 26
All of the four following exotic options are path-independent options, EXCEPT:

A. Asian options
B. Chooser options
C. Power options
D. Basket options

正解：A

質問 # 27
Which one of the four following statements about the Risk Adjusted Return on Capital (RAROC) is correct?
RAROC is the ratio of:

A. Profitability to the risk of a trading portfolio or bank business unit.
B. Profitability to the expected return of a trading portfolio or bank business unit.
C. Value-at-risk to the profitability of a trading portfolio or a business unit.
D. Risk to the profitability of a trading portfolio or a business unit within the bank.

正解：A

質問 # 28
Which of the following are typical properties of a statistical distribution of potential losses that a bank might sustain over a period of time?
I. The range of possible losses above the average loss is much greater than those below the average loss.
II. The loss that is most likely to occur is below the average loss.
III. The loss that is most likely to occur is above the average loss.

A. I, II
B. I, III
C. III
D. II

正解：A

解説：
* Property I: The range of possible losses above the average loss is much greater than those below the average loss:
* Statistical distributions of potential losses, especially in financial contexts, often exhibit a right-skewed pattern where extreme losses are more probable than extreme gains. This skewness results in a greater range of possible losses above the average loss.
* Property II: The loss that is most likely to occur is below the average loss:
* In skewed distributions, the mode (most likely value) is often different from the mean. For losses, the most likely (mode) value is typically below the average loss because the average is pulled up by the tail of extreme losses.
* Property III: The loss that is most likely to occur is above the average loss:
* This statement is incorrect for the typical skewed distribution described in financial risk contexts.
The mode is below the mean due to the influence of extreme losses.
ReferencesSource: How Finance Works

質問 # 29
A bank customer expecting to pay its Brazilian supplier BRL 100 million asks Alpha Bank to buy Australian dollars and sell Brazilian reals. Alpha bank does not hold Brazilian reals so it asks for a quote to buy Brazilian reals in the market. The market rate is 100. The bank quotes a selling rate of 101 to its customer, sells the reals, and receives AUD 1,010,000. To perform foreign exchange matched position trading, the banks should

A. Immediately sell the real above the market rate of 105 and receive AUD 1,050,050.
B. Immediately buy the real at the market rate of 100 and pay AUD 1,000,000.
C. Immediately sell the real at the market rate of 100 and receive AUD 1,000,000.
D. Immediately buy the real above the market rate of 105 and pay AUD 1,050,050.

正解：B

解説：
To perform foreign exchange matched position trading, Alpha Bank should match the customer's transaction to eliminate currency risk. Here's the breakdown:
* Customer transaction: The customer buys AUD 1,010,000 at a rate of 101 for BRL 100 million.
* Market transaction: To cover this, Alpha Bank should buy BRL at the market rate of 100, paying AUD
1,000,000 (BRL 100 million / 100 = AUD 1,000,000).
This ensures that the bank is not exposed to fluctuations in the BRL/AUD exchange rate.
ReferencesSource: How Finance Works

質問 # 30
Which of the following attributes of duration gap model typically cause criticism?
I. Basis risk
II. Errors in the linear model
III. Costs of immunization
IV. Constant nature of calculation

A. I, III, IV
B. II, III, IV
C. I, II
D. I, II, III

正解：D

質問 # 31
Bank Sigma takes a long position in the oil futures market that requires a 2% margin, i.e., the bank has to deposit 2% of the value of the contract with the broker. The futures contracts were priced at $50 per barrel (bbl) at inception, and rose by $5 to $55. The VaR on the position is estimated to be $10. What is the return on this transaction on a risk adjusted basis?

A. 500%
B. 10%
C. 20%
D. 50%

正解：D

解説：
* Initial Margin Calculation: The bank takes a long position requiring a 2% margin. For futures contracts priced at $50 per barrel, the margin required per barrel is 0.02×50=10.02 \times 50 =
10.02×50=1 dollar.
* Profit Calculation: The price rises from $50 to $55 per barrel, making a profit of 5550=555 - 50 =
55550=5 dollars per barrel.
* Return Calculation:
* Return on Investment (ROI) without considering risk: 51=5\frac{5}{1} = 515=5 or 500%.
* Risk-Adjusted Return:
* VaR (Value at Risk) on the position is estimated to be $10.
* Risk-adjusted return formula: ProfitVaR=510=0.5\frac{Profit}{VaR} = \frac{5}{10} =
0.5VaRProfit=105=0.5 or 50%.
ReferencesSource: How Finance Works

質問 # 32
A large multinational bank is concerned that their duration measures may not be accurate since the yield curve shifts are not parallel. Which of the following statements would be typically observed regarding variability of interest rates?

A. Short-term rates are less variable than long-term rates.
B. Short-term rates and long-term rates always move in opposite directions.
C. Short-term rates are equally variable as long-term rates.
D. Short-term rates are more variable than long-term rates.

正解：D

解説：
Interest rates can vary based on the term of the debt instrument. Generally, short-term interest rates are more sensitive to changes in monetary policy and economic conditions, leading to higher variability compared to long-term interest rates. This is because short-term rates are directly influenced by central bank policies, such as changes in the federal funds rate, which can lead to frequent fluctuations. Long-term rates, on the other hand, are influenced more by long-term economic expectations and inflation forecasts, which tend to be more stable over time.

質問 # 33
To safeguard its capital and obtain insurance if the borrowers cannot repay their loans, Gamma Bank accepts financial collateral to manage its credit risk and mitigate the effect of the borrowers' defaults. Gamma Bank will typically accept all of the following instruments as financial collateral EXCEPT?

A. Commercial debts owed to a company in a form of receivables
B. Unrated bonds issued and traded on a recognized exchange
C. Mutual fund shares and similar unit investment vehicles subject to daily quotes
D. Equities and convertible bonds included in a main market index

正解：B

解説：
Gamma Bank would typically accept the following as financial collateral:
* Equities and Convertible Bonds: Included in a main market index due to their liquidity and value recognition.
* Commercial Debts (Receivables): Owed to a company, which can be factored or used as collateral.
* Mutual Fund Shares and Similar Investment Vehicles: Subject to daily quotes ensuring transparency and liquidity.
Unrated bonds, even if traded on a recognized exchange, carry higher uncertainty and lack the creditworthiness validation that rated bonds possess, making them less preferable as collateral.
References
* Verified information on acceptable financial collateral from the document

質問 # 34
Which of the following statements defines Value-at-risk (VaR)?

A. VaR is the worst possible loss on a financial instrument or a portfolio of financial instruments over a given time period.
B. VaR is the minimum likely loss on a financial instrument or a portfolio of financial instruments with a given degree of probabilistic confidence.
C. VaR is the maximum of past losses over a given period of time.
D. VaR is the maximum likely loss on a financial instrument or a portfolio of financial instruments over a given time period with a given degree of probabilistic confidence.

正解：D

解説：
Value-at-Risk (VaR) is a statistical measure used to assess the risk of loss on a specific portfolio of financial assets. It estimates the maximum potential loss with a given confidence level over a defined period.
* Maximum Likely Loss: VaR calculates the worst expected loss under normal market conditions at a specific confidence level.
* Time Period: VaR is assessed over a specified time horizon, such as a day, week, or month.
* Confidence Level: VaR is defined at a certain confidence level, typically 95% or 99%. This means there is a 95% (or 99%) probability that the loss will not exceed the VaR estimate.
For instance, a daily VaR of $1 million at a 99% confidence level implies that there is only a 1% chance that the portfolio will lose more than $1 million in a day.
References
* How Finance Works.pdf, p. 201

質問 # 35
A multinational bank just bought two bonds each worth $10,000. One of the bonds pays a fixed interest of 5%
semi-annually and the other pays LIBOR semi-annually. The six month LIBOR is at 5% currently. The risk
manager of the bank is concerned about the sensitivity to interest rates. Which of the following statements are
true?

A. The given information is not enough to determine the sensitivity of the bond prices.
B. The price of the bond paying floating interest is more sensitive to interest rates than the bond paying
fixed interest.
C. Both bond prices are equally sensitive to interest rates.
D. The price of the bond paying fixed interest is more sensitive to interest rates than the bond paying
floating interest.

正解：D

質問 # 36
Using a forward transaction, Omega Bank buys 100 metric tones of aluminum for delivery in six-months' time.
However, after two months, the bank becomes concerned with the potential fluctuations in aluminum prices and wants to hedge its potential exposure against a possible decline in aluminum prices. Which one of the following four strategies could the bank use to offset the risk from its current exposure to aluminum as it sets the price for selling the commodity in four-months' time?

A. Sell an aluminum futures contract
B. Buy an aluminum forward contract
C. Sell an aluminum forward contract
D. Buy an aluminum futures contract

正解：A

解説：
To hedge against potential declines in aluminum prices, Omega Bank should take a position that benefits from a price drop. Here are the steps and strategies:
* Current Position:
* Omega Bank has bought 100 metric tons of aluminum for delivery in six months.
* Hedging Strategy:
* To protect against a decline in aluminum prices, the bank should take a short position in the aluminum futures market. This involves selling aluminum futures contracts.
* Execution:
* By selling an aluminum futures contract, Omega Bank locks in a price for selling aluminum in the future, thus offsetting the risk of price declines.
The correct strategy is to sell an aluminum futures contract, which effectively hedges the bank's exposure to a potential drop in aluminum prices.
ReferencesSource: How Finance Works

質問 # 37
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